Screening Stocks by Intraday Range, Volume, Opening Strength, and Turnover

Summary

This note outlines a stock screen using daily price activity and trading volume. Its stated conditions are an intraday amplitude above 1, current volume above 10,000 lots, a higher open, and previous-day turnover above 60 million. The accompanying discussion treats these as signs of activity, opening optimism, and liquidity. A Python example also demonstrates filters using recent prices, a moving average, and traded value, though it does not implement every stated condition exactly.

The author acknowledges that this is a simple rule set and may encourage overly optimistic decisions because it does not account for enough technical, fundamental, industry, or macroeconomic information. Suggested additions include other indicators and company valuation or growth measures. The note presents no backtest, measured returns, or validation of its liquidity and trend assumptions. The gap between the written selection conditions and the example implementation means the screening rules would need to be reconciled before evaluation.

Key ideas

• The stated screen combines intraday amplitude, current volume, a higher open, and previous-day turnover.
• The note interprets active trading and opening strength as potential signs of market interest.
• Its Python example adds moving-average and recent-price filters but does not exactly match the written rules.
• The author recommends adding technical and fundamental information and considering broader market conditions.
• No performance evidence or backtest is reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.